IV models of ordered choice

Andrew Chesher and Konrad Smolinski

Journal of Econometrics, 2012, vol. 166, issue 1, 33-48

Abstract: This paper studies single equation instrumental variable models of ordered choice in which explanatory variables may be endogenous. The models are weakly restrictive, leaving unspecified the mechanism that generates endogenous variables. These incomplete models are set, not point, identifying for parametrically (e.g. ordered probit) or nonparametrically specified structural functions. The paper gives results on the properties of the identified set for the case in which potentially endogenous explanatory variables are discrete. The results are used as the basis for calculations showing the rate of shrinkage of identified sets as the number of classes in which the outcome is categorised increases.

Keywords: Endogeneity; Incomplete models; Instrumental variables; Ordered choice; Ordered probit; Set identification; Threshold crossing models (search for similar items in EconPapers)
JEL-codes: C10 C14 C50 C51 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Working Paper: IV models of ordered choice (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:166:y:2012:i:1:p:33-48

DOI: 10.1016/j.jeconom.2011.06.004

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